(CNN) -- A bodyguard for the mayor of Ciudad Juarez, Mexico, was shot and killed in an exchange with Mexican federal police, a federal police spokesman said late Tuesday.

The shooting happened near the international bridge between Juarez and El Paso, Texas, according to spokesman Ramon Salinas.

Juarez Mayor Hector "Teto" Murguia and his convoy were coming from a meeting with a contingent of local priests, according to Salinas and a statement from the mayor's office. They were headed to a checkpoint when an incident occurred between federal police and the bodyguards for Murguia.

Murguia denounced the shooting and said the bodyguard -- 29-year-old Jorge Humberto Munoz Perez -- was shot after he identified himself as a bodyguard for the mayor.

At a press conference, Murguia accused the federal police of the shooting, saying "the abuses of the federal police can occur to any person."

The mayor said he was so close to the gunfire, he doesn't know how he wasn't shot.